Not very well, to be honest. I currently store them in a paper grocery bag, but then the strings get all tangled up and it takes me a while to unknot them.
The entire wand or just the toy part? If the toy part is removable, then put them in a box of some sort. Use small baggies to hold individual toys so they don't end up as one big tangled mess in the box. An entire wand can be put into gift wrapping paper tubes with the toy dangling over the edge and stored upright in a closet. Or, if you have the space, get a long under the bed storage box and store the tubes with the wand toy in there.
I put mine on top of a tall bookcase Luciano cannot get to. I try to put the toy and wand end together at the edge of the bookcase so it's easy to retrieve. I have three of them up there (da bird, mousey & ball). Sometimes they get tangled but not too often as the non-bird versions are wire, not string.
We put our longer DaBird sticks in the closet. I hate bringing up the closet, as DH and I need to declutter our storage locker in the basement and looking at our coat closet is reminding me of how we are procrastinating about that storage locker task...
and in the spirit of wasting more time procrastinating by taking silly photos and highlighting points of interest, I took a snapshot of how we store our DaBird sticks in the coat closet so that the toys/ feathers don't get tangled. They are also put up out of the way so the cat cannot get to them.
Prop the sticks on one side's shelving bracket, lean the stick upwards, so that the toy(s) hang down in a somewhat organized manner.
I put the new ones/not in use in a box from Amazon in my closet. And for the current one my cat loves, I put it inside a tote bag hanging off by my door for easy access. If I leave the toys out, he doesn't play with it so I have to make sure to play with him.
I wind the string around the stick and put it on top of the china hutch. The cats can jump up there but there's some boxes on top so they usually don't. If I left it out they'd chew through the string and kill the feathers.
I have one with a collapsing wand, so it folds down to about a foot long. It then easily fits in a particular drawer in the kitchen. If you even so much as LOOK at that drawer, the cat is running towards you meowing her fool little head off.
We store ours in a small umbrella stand next to the toy basket.
I go through both a few times a year. Throw out damaged toys, sprinkle the whole thing with catnip, mix them up, general clean up.
The cats tend to pull stuff out and scatter them on a regular basis. And Link doesn't have enough catnip carrots. They tend to all vanish, I buy a new one, and then we do a deep clean of the house and suddenly have five of them.